Mathematical Methods for Financial
Optimization
Jointly organized
by the
Landelijk Netwerk Mathematische Besliskunde (LNMB) and the Nederlands
Genootschap Besliskunde (NGB), Conference Center “De Werelt”, in
Lunteren, on January 20, 2005.
The Landelijk Netwerk Mathematische Besliskunde (LNMB) and the Nederlands Genootschap voor Besliskunde (NGB) jointly organize the one-day seminar “Mathematical methods for Financial Optimization", in Conference Center “De Werelt” in Lunteren, on January 20, 2005. The seminar is the seventh in a series of annual seminars, following the previous successful seminars on “Operations Research & Enterprise Resource Planning” (1999), “Operations Research in Financial Management” (2000), “E-commerce & Operations Research” (2001), “Capacity management – How operations research models support decision makers” (2002), “New developments in Operations Research software” (2003) and "On-line methods: Challenges for OR in a real-time world".
The conference language is English. To participate at the seminar, please go to Registration Seminar and send the form before January 10, 2005. The conference fee is 75 Euro for LNMB and NGB members, and 125 Euro for others. You will receive an invoice after your registration form has been received. The conference fee covers lunch, coffee, tea, and the drinks.
| SEMINAR PROGRAM | |
|---|---|
| 09.30 - 10.00 | Registration and coffee |
| 10.00 - 10.10 | Welcome by chairman Guus Boender |
| 10.10 - 10.50 | David Yao (Columbia University, New York) A stochastic control approach to financial tracking problems (click here for the presentation) |
| 11.00 - 11.40 | Antoon Pelsser (University Rotterdam & ING) Pricing insurance contracts: an incomplete market approach (click here for the presentation) |
| 11.50 - 12.30 | Pieter Klaassen (ABN-AMRO) Using importance sampling to assess credit risk economic capital and economic capital contributions (click here for the presentation) |
| 12.30 - 13.30 | Lunch |
| 13.30 - 14.10 | André van Vliet (ORTEC, Rotterdam) Practical examples of financial modelling (click here for the presentation) |
| 14.20 - 15.00 | Bart Oldenkamp (ABN-AMRO, Amsterdam) The practice of financial optimization (click here for the presentation) |
| 15.10 - 15.50 | Huub van Capelleveen (Cardano Risk Management) Utility and usefulness of stochastic risk models for strategic pension policies (click here for the presentation) |
| 16.00 - 16.40 | Raoul Pietersz (Erasmus (University Rotterdam & ABN-AMRO) Optimization methods for risk management of interest rate derivatives (click here for the presentation) |
| 16.40 - 17.30 | Drinks |
| Back to home page | Program |